A note on the Monte Carlo assessment of Impulse Saturation with fat tailed distribution

Monte Carlo evidence is provided as to the efficiency of the impulse saturation estimator in a location-scale model with heavy-tailed distributions. Comparisons show that the IS estimator is always more efficient than the OLS and can even outperform the Method of Moments estimator in some instances.

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Year of publication:	2008-09
Authors:	Santos, Carlos
Institutions:	Faculdade de Economia e Gestão, Universidade Católica Portuguesa
Subject:	nonnormality \| impulse saturation \| robust estimation

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Extent:	application/pdf
Series:	Working Papers de Economia (Economics Working Papers).
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 052008 7 pages
Classification:	C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005069729